Scientiae Mathematicae Japonicae
Online ISSN : 1346-0447
GENERALIZED ORNSTEIN-UHLENBECK PROCESSES
Michèle Thieullen
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Keywords: Stationary diffusion processes, Fokker-Planck equation, Ornstein-Uhlenbeck process, harmonic oscillator, groundstate, hitting time
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2008 Volume 67 Issue 2 Pages 153-160

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Abstract
We consider a family of stationary diffusion processes known as Pearson diffusions and their distributions. We show that they may be interpreted as generalized Ornstein-Uhlenbeck (O-U) processes. We apply this result to their transition densities and hitting times.
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© 2008 International Society for Mathematical Sciences
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